美联储-保险公司的投资和保险价格（英）-2024.7-86页

FinanceandEconomicsDiscussionSeriesFederalReserveBoard,Washington,D.C.ISSN1936-2854(Print)ISSN2767-3898(Online)Insurers’InvestmentsandInsurancePricesBenjaminKnox,JakobAhmSørensen2024-058Pleasecitethispaperas:Knox,Benjamin,andJakobAhmSørensen(2024).“Insurers’InvestmentsandInsurancePrices,”FinanceandEconomicsDiscussionSeries2024-058.Washington:BoardofGover-norsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.058.NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.Insurers’InvestmentsandInsurancePricesBenjaminKnoxandJakobAhmSørensen∗June24,2024AbstractWedevelopatheorythatconnectsinsuranceprices,insurancecompanies’in-vestmentbehavior,andequilibriumassetprices.Consistentwiththemodel’spre-dictions,weshowempiricallythat(1)insurerswithmorestableinsurancefundingtakemoreinvestmentriskand,therefore,earnhigheraverageinvestmentreturns;(2)insurerssetlowerpricesonpolicieswhenexpectedinvestmentreturnsarehigher,bothinthec...